Evaluating real-time forecasts in real-time http://hdl.handle.net/1765/11249 RePub Copyright (c) RePub, 2007 2007 Dataset belonging to: Evaluating real-time forecasts in real-time Dijk, D.J.C. van Franses, Ph.H.B.F. Ravazzolo, F. Dataset [Codebook file] belonging to: Dijk, D.J.C. van, Ph.H.B.F. Franses, and F. Ravazzolo, Evaluating real-time forecasts in real-time, Econometric Institute Report, Rotterdam, 2007. data revision forecast evaluation parameter uncertainty Bayesian estimation structural breaks C11 C22 C53 C82 E01 E27 83.03 85.03 forecasting macro-economie rente nationaal product HB3730 QA279.5 1966 2003 1966 2003 United States of America United States of America macro economic indicators forecasts of the United States quarterly macro economic indicators like interst rates and gross domestic product (GDP) time-series data Dependent variable: Continuous. Name of model: Standard linear regression model. time-series Federal Reserve Bank of Philadelphia quarterly collection from website Quarterly forecasts for US macroeconomic indicators derived from website Federal Reserve Bank of Philadelophia Repub 1 data file + DDI XML file (this file) describing the data 2 files The accuracy of real-time forecasts of macroeconomic variables that are subject to revisions may crucially depend on the choice of data used to compare the forecasts against. We put forward a flexible time-varying parameter regression framework to obtain early estimates of the final value of macroeconomic variables based upon the initial data release that may be used as actuals in current forecast evaluation. We allow for structural changes in the regression parameters to accommodate benchmark revisions and definitional changes, which fundamentally change the statistical properties of the variable of interest, including the relationship between the final value and the initial release. The usefulness of our approach is demonstrated through an empirical application comparing the accuracy of forecasts of US GDP growth rates from the Survey of Professional Forecasters and the Greenbook. Dijk, D.J.C. van, Ph.H.B.F. Franses, and F. Ravazzolo, Evaluating real-time forecasts in real-time, Econometric Institute Report, Rotterdam, 2007. vandijk_fr.xls xls ?